This is a bug. https://rt.cpan.org/Public/Bug/Display.html?id=43328. It does work if you use a drive letter to map the remote share -- but that is not always convenient. The bug was reported in 2009, someone posted a proposed solution in 2010, but no new version including a fix has been released yet. You can try the proposed solution by adjusting your local copy of File::Copy::Recursive, changing the beginning of sub pathmk to the following:
sub pathmk {
my ( $volume, @parts ) = File::Spec->splitpath(shift());
my $nofatal = shift;
@parts = File::Spec->splitdir( File::Spec->catdir(@parts));
my $pth = File::Spec->catdir($volume,$parts[0]);
my $zer = 0;
[EDIT] I've sent the maintainer of the package an email asking to release a new version with this fix included. I checked that the fix does not break any of the tests associated with the software package.